Timur Misirpashaev

Bloomberg LP

731 Lexington Ave

New York, NY 10022

United States

SCHOLARLY PAPERS

4

DOWNLOADS
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SSRN RANKINGS

Top 9,365

in Total Papers Downloads

5,992

SSRN CITATIONS
Rank 37,521

SSRN RANKINGS

Top 37,521

in Total Papers Citations

5

CROSSREF CITATIONS

15

Scholarly Papers (4)

1.

Markovian Projection Onto a Heston Model

Number of pages: 31 Posted: 28 Jun 2007
Alexandre Antonov, Timur Misirpashaev and Vladimir Piterbarg
Danske Bank - Danske Markets, Bloomberg LP and NatWest Markets
Downloads 2,397 (6,748)
Citation 7

Abstract:

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Markovian projection, stochastic volatility, Shifted Heston model, Gyongy lemma, index options, Heston basket options, Heston spread options

Markovian Projection Onto a Displaced Diffusion: Generic Formulas with Applications

Number of pages: 18 Posted: 17 Oct 2006
Alexandre Antonov and Timur Misirpashaev
Danske Bank - Danske Markets and Bloomberg LP
Downloads 1,722 (11,393)
Citation 11

Abstract:

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Markovian projection, displaced diffusion, Cross Currency Libor Market Models with Skew, FX volatility skew, LMM swaption formula

Markovian Projection Onto a Displaced Diffusion: Generic Formulas with Applications

International Journal of Theoretical and Applied Finance, Vol. 12, No. 4, pp. 507-522, 2009
Posted: 02 Dec 2009
Alexandre Antonov and Timur Misirpashaev
Danske Bank - Danske Markets and Bloomberg LP

Abstract:

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Markovian projection, displaced diffusion, LIBOR market model, cross-currency model, swaption, volatility skew

3.

Efficient Calibration to FX Options by Markovian Projection in Cross-Currency Libor Market Models

Number of pages: 14 Posted: 10 Oct 2006
Alexandre Antonov and Timur Misirpashaev
Danske Bank - Danske Markets and Bloomberg LP
Downloads 1,255 (18,999)
Citation 3

Abstract:

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Cross Currency Libor Market Models, FX volatility skew, Markovian projection

4.

Projection on a Quadratic Model by Asymptotic Expansion with an Application to LMM Swaption

Number of pages: 40 Posted: 18 Jun 2009
Alexandre Antonov and Timur Misirpashaev
Danske Bank - Danske Markets and Bloomberg LP
Downloads 618 (51,354)
Citation 1

Abstract:

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asymptotic expansion, Markovian projection, skew averaging, quadratic volatility model, LIBOR Market Model, swaption, Wiener chaos